Interesting to see copypnpfile has a restriction on same tenant in the documentation,
"This location can be within the same document library, same site, same site collection or even to another site collection on the same tenant"
Since you want to copy between two different tenant, so choices are any of the migration tool OR
by downloading content to local temp folder and then uploading to the destination.
For downloading files, you can use getpnpfile
Get-PnPFile -Url $File.ServerRelativeUrl -Path $LocalDriveFolderPath -FileName $File.Name -AsFile
While for uploading, you can use addpnpfile
Add-PnPFile -Path sample.docx -Folder "Documents" -NewFileName "differentname.docx"